Study: Sell SUZLON when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell SUZLON when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell SUZLON at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. buy after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
118123.39169756.256323.4912295.08-5541.14-21459.891.141.470.041132.71
214394.111610662.57336.3515121.95-9828.24-20759.950.751.240.025899.63
3-36832.01169756.258346.7919672.13-15993.3-42851.230.520.67-0.041-2302
4-81028.96167943.759615.6719480.52-16482.08-45265.470.580.45-0.086-5064.31
5-84356.181661037.510170.7518181.82-14538.07-48367.680.70.42-0.092-5272.26
6-1036451661037.510844.8825974.03-16871.47-54502.020.640.39-0.098-6477.84
7-75859167943.7510109.7822077.92-16291.94-52438.130.620.48-0.077-4741.19
8-73497.4167943.759762.7525974.03-15759.62-51431.670.620.48-0.075-4593.59
9-92396.76167943.7510442.3825974.03-18388.15-51074.940.570.44-0.086-5774.8
10-69307.516885010202.2925974.03-18865.72-51055.830.540.54-0.064-4331.72

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.47. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 56.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
nilnil-1118123.39169756.256323.4912295.08-5541.14-21459.891.141.470.041132.71
atrtrail34.11-7159.931871138.8910591.227933.05-7390.76-13271.151.430.91-0.0099-397.77
atrnil26.06-19903.721861233.3316844.4621668.97-10080.87-15333.491.670.84-0.023-1105.76
atrtrail24.06-24397.181871138.898128.7418622.03-7390.76-13271.151.10.7-0.042-1355.4
atrnil38.39-47170.881841422.2223312.4327933.05-10030.04-15333.492.320.66-0.051-2620.6
atrtrail-14.33-38104.21871138.896170.5910732.51-7390.76-13271.150.830.53-0.079-2116.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 56.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUZLON Performance, X=1, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018316 Jan 2018 (-0.66%), 06 Mar 2018 (6.15%), 04 Jun 2018 (1.88%)
2017203 Feb 2017 (-0.31%), 15 May 2017 (-0.51%)
2013125 Jul 2013 (1.95%)
2012209 May 2012 (5.12%), 10 Oct 2012 (2.42%)
2011103 Oct 2011 (1.66%)
2010219 Feb 2010 (1.06%), 28 Jul 2010 (3.68%)
2007410 Jan 2007 (-3.2%), 31 Jan 2007 (-2.84%), 17 Aug 2007 (-10.73%), 19 Oct 2007 (-1.14%)
2006118 Jul 2006 (4.55%)



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